Stability results for a general class of interacting point processes dynamics, and applications
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Publication:1579375
DOI10.1016/S0304-4149(98)00006-4zbMATH Open0944.60053WikidataQ98839774 ScholiaQ98839774MaRDI QIDQ1579375FDOQ1579375
Authors: Laurent Massoulié 
Publication date: 5 September 2000
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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Cited In (23)
- Mean-field limit of generalized Hawkes processes
- Hawkes processes on large networks
- Asymptotic results for a class of Markovian self-exciting processes
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Statistical inference versus mean field limit for Hawkes processes
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
- Long-time behavior of a Hawkes process-based limit order book
- Risk processes with non-stationary Hawkes claims arrivals
- Hawkes processes with variable length memory and an infinite number of components
- Algorithmic trading in a microstructural limit order book model
- Emergence of network structure due to spike-timing-dependent plasticity in recurrent neuronal networks V: self-organization schemes and weight dependence
- State-dependent Hawkes processes and their application to limit order book modelling
- A dynamic contagion process
- Asymptotics for an extended inverse Markovian Hawkes process
- Asymptotics for Hawkes processes with large and small baseline intensities
- Limit theorems for Hawkes processes including inhibition
- Renewal in Hawkes processes with self-excitation and inhibition
- Large Deviations of Poisson Cluster Processes
- Asymptotic shape and the speed of propagation of continuous-time continuous-space birth processes
- Mean-field limits for non-linear Hawkes processes with excitation and inhibition
- Birth death swap population in random environment and aggregation with two timescales
- Bayesian estimation of nonlinear Hawkes processes
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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